By Angela McDaniels
Tacoma, Wash., April 14 - HSBC USA Inc. priced $3.5 million of worst-of autocallable plus notes due April 17, 2024 linked to the worst of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a coupon at the rate of 7% per year if each index closes at or above its coupon trigger, 68% of its initial level, on the observation date for that quarter.
If each index closes at or above its initial level on any coupon observation date beginning in April 2015, the notes will be automatically called at par plus the contingent coupon.
If the notes are not called and the final return of the least-performing index is greater than or equal to negative 32%, the payout at maturity will be par plus the final coupon. If the final return of the least-performing index is less than negative 32% but greater than or equal to negative 35%, the payout will be par. If the final return of the least-performing index is less than negative 32%, investors will be fully exposed to the decline of the least-performing index.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
|
| Issue: | Worst-of autocallable plus notes
|
| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $3.5 million
|
| Maturity: | April 17, 2024
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| Coupon: | 7% per year, payable quarterly if each index closes at or above coupon trigger, 68% of initial level, on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If final return of least-performing index is greater than or equal to negative 32%, par plus final coupon; if final return of least-performing index is less than negative 32% but greater than or equal to negative 35%, par; otherwise, full exposure to decline of least-performing index
|
| Call: | Automatically at par plus contingent coupon if each index closes at or above its initial level on any coupon observation date beginning in April 2015
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| Initial levels: | 1,833.08 for S&P 500; 1,127.6586 for Russell 2000; 3,152.86 for Euro Stoxx 50
|
| Pricing date: | April 10
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| Settlement date: | April 17
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| Underwriter: | HSBC Securities (USA) Inc.
|
| Fees: | 4%
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| Cusip: | 40432XYF2
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